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Exact filters for Newton-Raphson parameter estimation algorithms for continuous-time partially observed stochastic systems
(IEEE, 1999)
This paper presents explicit finite-dimensional filters for implementing Newton-Raphson (NR) parameter estimation algorithms. The models which exhibit nonlinear parameter dependence are stochastic, continuous-time and ...
Maximum Likelihood parameter estimation from incomplete data via the sensitivity equations: The continuous-time case
(IEEE, 1999)
The problem of estimating the parameters for continuous-time partially observed systems is discussed. New exact filters for obtaining Maximum Likelihood (ML) parameter estimates via the Expectation Maximization algorithm ...
Role of measure-valued decompositions in stochastic control
(American Automatic Control Council, 1994)
Following up the measure-valued decompositions of Kunita [1], and the martingale representation result for L2-processes of Bensoussan [2], we have recently derived in [3], necessary conditions of optimizing nonlinear ...